2. Cross-sectional and Time Series ModelsYou, YongChen, EdwardGambino, JackCanada, Statistics
同学你好,time-series momentum就是比如你看茅台酒过去基本一直在涨,然后就认为后期还会涨,于是做多。翻译一下,就是过去涨的还会涨,过去跌的还会跌。 cross-sectional momentum strategy就是比如,同样是白酒行业,茅台是各方面的指标都很好,还一直涨,而沱牌酒各方面的指标都不好,导致一直跌。于是做多茅台,做空沱牌酒。
时间序列分析和截面分析是在工业界alpha research中的两种基本分析方法. 回顾文献, 我们发现在简单的随机过程模型中就能看到两种现代的分析的思路特点和区别. 本文介绍 Lo and Mackinlay (1989) 提出的时序动量模型 Time Series Momentum (TSM) Model (下称TSM) 与截面动量模型Cross-Sectional Momentum (CSM) Model ...
MRSA trends and aspects of infection control Panel and Pseudo-Panel Estimation of Cross-Sectional and Time Series Elasticities of Food ConsumptionThe Case of U.S. and Polish Data, Artículo... H Nawa,Y Watanabe,K Nakamura,... 被引量: 0发表: 1996年 [Considerations on the electromyographic asp...
2.Cross-SectionalData -MultipleLocationsatonetime -Takenatsametime(Septemberreport,Januaryreport,etc.) -ie:stockportfolio,playerstats,provincialGDPcomparison,gradereport TimeSeries,CrossSectional&PooledData 3.PooledData -CombinationofTimeSeriesandCross-sectionalData ...
Both look at multiple time points, but repeated measure studies usually look at more variables, while time series looks at more time points (usually at least 50) and very few variables (often only one). Examples One example of a cross-sectional study would be the relationship between ...
TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelagged..
The study compares the performance of alternative implementations of both time-series and cross-sectional momentum strategies across 24 markets. We find that over our sample period, both types of momentum strategies generate positive returns under the majority of implementations evaluated but that time-...
Methodological Approaches to Conducting Pooled Cross-Sectional Time Series Analysis: The Example of the Association between All-Cause Mortality and per cap... ( 2001 ) Methodological approaches to conducting pooled cross-sectional time series analysis: the example of the association between all-cause ...
This dissertation is a pooled time series, cross-sectional, quantitative study of the impact of international financial transfer on the level of democracy. The study covers 174 developed and developing countries from 1976 through 1994. Through evaluating the democracy and democratization literature and ...